This study investigates the impact of investor protection on corporate R&D investment using panel data from Chinese A-share listed companies spanning 2015 to 2022.By employing OLS regression,mediation,and moderati...This study investigates the impact of investor protection on corporate R&D investment using panel data from Chinese A-share listed companies spanning 2015 to 2022.By employing OLS regression,mediation,and moderation analyses,the results demonstrate that robust investor protection mechanisms significantly enhance corporate R&D expenditures.The mediation analysis reveals that investor protection alleviates financing constraints and improves information disclosure quality,both of which serve as key channels for fostering R&D investment.Furthermore,internal control systems and media attention are identified as positive moderators,amplifying the beneficial effects of investor protection on R&D.In contrast,the equity Herfindahl index(HHI)does not exhibit a significant moderating role.The study also highlights that financial leverage,profitability,and equity concentration negatively influence R&D,while revenue growth exerts a positive effect.These findings underscore the critical role of investor protection in driving corporate innovation and sustainable growth,offering valuable insights for policymakers and corporate managers aiming to optimize R&D strategies through improved governance frameworks.展开更多
The efficient market hypothesis in traditional financial theory struggles to explain the short-term irrational fluctuations in the A-share market,where investor sentiment fluctuations often serve as the core driver of...The efficient market hypothesis in traditional financial theory struggles to explain the short-term irrational fluctuations in the A-share market,where investor sentiment fluctuations often serve as the core driver of abnormal stock price movements.Traditional sentiment measurement methods suffer from limitations such as lag,high misjudgment rates,and the inability to distinguish confounding factors.To more accurately explore the dynamic correlation between investor sentiment and stock price fluctuations,this paper proposes a sentiment analysis framework based on large language models(LLMs).By constructing continuous sentiment scoring factors and integrating them with a long short-term memory(LSTM)deep learning model,we analyze the correlation between investor sentiment and stock price fluctuations.Empirical results indicate that sentiment factors based on large language models can generate an annualized excess return of 9.3%in the CSI 500 index domain.The LSTM stock price prediction model incorporating sentiment features achieves a mean absolute percentage error(MAPE)as low as 2.72%,significantly outperforming traditional models.Through this analysis,we aim to provide quantitative references for optimizing investment decisions and preventing market risks.展开更多
We construct a model to examine the time-varying ambiguity of investors.When ambiguity occurs concerning recent news,long(short)position investors who are averse to ambiguity reduce(increase)their holdings,resulting i...We construct a model to examine the time-varying ambiguity of investors.When ambiguity occurs concerning recent news,long(short)position investors who are averse to ambiguity reduce(increase)their holdings,resulting in price drops(rises).We empirically analyze how the“two sessions,”a significant event with high policy ambiguity in China,affect the financial market.Our findings suggest that institutional investors mainly sell their holdings between 15 and 5 days before the meetings.Furthermore,the delay in the“two sessions”in 2020 suggests that these selloffs are driven by ambiguity aversion rather than new information.展开更多
This study examines a comprehensive set of 30 cross-sectional anomalies in the Chinese A-share market to investigate whether incorporating investor sentiment as conditioning information enhances the explanatory power ...This study examines a comprehensive set of 30 cross-sectional anomalies in the Chinese A-share market to investigate whether incorporating investor sentiment as conditioning information enhances the explanatory power of asset pricing models.Utilizing a long–short portfolio strategy and Fama–MacBeth cross-sectional regression,we find that trading-based anomalies outnumber accounting-based anomalies in the Chinese market.Our results demonstrate that conditional models significantly outperform their unconditional counterparts.Notably,investor sentiment is crucial for capturing the size anomaly when excluding observations from the COVID-19 pandemic period.Additionally,it substantially improves the ability of conditional Fama–French three-factor models to capture individual anomalies and enhances the return–prediction accuracy of conditional CAPMs.We suggest further investigating high-frequency investor sentiment-based conditional models to anticipate stock price fluctuations during extraordinary public health events.展开更多
With the rapid development of Internet media,Internet media coverage has more or less influence on investors'psychological level.This article uses Python technology to climb 2019.9 to 2020.1 of the monthly news re...With the rapid development of Internet media,Internet media coverage has more or less influence on investors'psychological level.This article uses Python technology to climb 2019.9 to 2020.1 of the monthly news reports on A share listed companies in the Snowball net,and studies the relationship between media attention and investors'heterogeneous beliefs.It is found that media attention is positively correlated with investors'heterogeneous beliefs,that is,investors are more likely to choose stocks frequently reported by media.Further research finds that media reports will strengthen investors'heterogeneous beliefs,affect investors'investment behavior,and ultimately lead to the increase of stock trading volume.展开更多
This paper has two aims. The first one is to investigate the existence of chaotic structures in the oil prices, expectations of investors and stock returns by combining the Lyapunov exponent and Kolmogorov entropy, an...This paper has two aims. The first one is to investigate the existence of chaotic structures in the oil prices, expectations of investors and stock returns by combining the Lyapunov exponent and Kolmogorov entropy, and the second one is to analyze the dependence behavior of oil prices, expectations of investors and stock returns from January 02, 1990, to June06, 2017. Lyapunov exponents and Kolmogorov entropy determined that the oil price and the stock return series exhibited chaotic behavior. TAR-TR-GARCH and TAR-TR-TGARCH copula methods were applied to study the co-movement among the selected variables. The results showed significant evidence of nonlinear tail dependence between the volatility of the oil prices, the expectations of investors and the stock returns. Further, upper and lower tail dependence and comovement between the analyzed series could not be rejected. Moreover, the TAR-TR-GARCH and TAR-TR-TGARCH copula methods revealed that the volatility of oil price had crucial effects on the stock returns and on the expectations of investors in the long run.展开更多
This study examines the relationship between positive and negative investor sentiments and stock market returns and volatility in Group of 20 countries using variousmethods, including panel regression with fixed effec...This study examines the relationship between positive and negative investor sentiments and stock market returns and volatility in Group of 20 countries using variousmethods, including panel regression with fixed effects, panel quantile regressions, apanel vector autoregression (PVAR) model, and country-specific regressions. We proxyfor negative and positive investor sentiments using the Google Search Volume Indexfor terms related to the coronavirus disease (COVID-19) and COVID-19 vaccine, respectively. Using weekly data from March 2020 to May 2021, we document significantrelationships between positive and negative investor sentiments and stock marketreturns and volatility. Specifically, an increase in positive investor sentiment leads toan increase in stock returns while negative investor sentiment decreases stock returnsat lower quantiles. The effect of investor sentiment on volatility is consistent acrossthe distribution: negative sentiment increases volatility, whereas positive sentimentreduces volatility. These results are robust as they are corroborated by Granger causalitytests and a PVAR model. The findings may have portfolio implications as they indicatethat proxies for positive and negative investor sentiments seem to be good predictorsof stock returns and volatility during the pandemic.展开更多
This paper explores the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing a unique data set that consists of the buying and selling p...This paper explores the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing a unique data set that consists of the buying and selling positions of open-end fund investors in China. Results show that investors' buying and selling behaviors are significantly affected by fund performance. The reasons that lie behind such results are mainly related to the non-persistence of fund performance. When fund performance is non-persistent, investors are not clear about the future returns on funds. So, investors, especially individual investors, would have to realize the profits on hand immediately. Meanwhile, fund investors are highly sensitive to fund age and loading fees, but not sensitive to management fees charged by funds when they buy or sell fund shares.展开更多
This paper examines systematic differences in earnings management through real activity manipulation and accrual manipulation across 7 Asia countries. The study proposes arguments that in economies with high investor ...This paper examines systematic differences in earnings management through real activity manipulation and accrual manipulation across 7 Asia countries. The study proposes arguments that in economies with high investor protection, managers prefer to manage earnings through real activity manipulation rather than through accrual manipulation because accrual manipulation is more likely to draw auditors or regulators scrutiny than real decisions about pricing and production. The study findings are consistent with prediction. Despite being in economies with high investor protection, managers still have bigger discretion in managing earnings through real activities rather than accrual manipulation.展开更多
The objective of this study is to examine the effect of accounting standards and investor protection on value relevance of earnings and book value of equity among European Union countries during the years 1999-2007. T...The objective of this study is to examine the effect of accounting standards and investor protection on value relevance of earnings and book value of equity among European Union countries during the years 1999-2007. The results indicate that the adoption of International Financial Reporting Standards [IFRS] leads to improvement in value relevance, particularly on earnings. We also examine the impact of investor protection and the deviation of local accounting standards from IFRS on the effectiveness of the IFRS adoption. The results show supporting evidence for investor protection but inconclusive evidence for accounting standard deviation. However, additional analysis indicates that the countries which apparently benefit from adopting IFRS are those with high deviation of local accounting standards from IFRS and high investor protection. The findings imply that adopting IFRS alone cannot improve value relevance of accounting information, but standard setters and regulators need to strengthen their investor protection mechanisms in order to improve the quality of accounting information.展开更多
Our research on private placement of equity on China capital market reveals that firms prefer to equity financing when their stock price is overvalued and investor sentiment is high,following the market timing hypothe...Our research on private placement of equity on China capital market reveals that firms prefer to equity financing when their stock price is overvalued and investor sentiment is high,following the market timing hypothesis.However,after private issuance,we document a significant positive abnormal return within three years.We believe firms choose to polish their financial statement before the exit of institutional investors and controlling shareholders.Through manipulation of discretional accruals,firms improve the profitability and market valuation,and help institutional investors and controlling shareholders obtain the abnormal return after private placement of equity.Nevertheless,such manipulation cannot be sustained and will do harm to other investors in the long-term.展开更多
In order to examine the effects of avoiding reputation damage by investor relations management under certain corporate governance structures and mechanisms, samples of 1120 listed companies are used to research the in...In order to examine the effects of avoiding reputation damage by investor relations management under certain corporate governance structures and mechanisms, samples of 1120 listed companies are used to research the influence on financial restatements by corporate governance. Then the moderating effects of investor relations management on financial restatements are analyzed. The result is that the more dispersed the equity, the higher the probability of financial restatements will be (This includes the government-controlled companies). Also the higher the proportion of independent directors and the higher the level of investor relations management, the lower the probability of financial restatements will be. Furthermore, as a moderating variable, investor relations management can eliminate the negative effects of corporate governance, enhance the effect of independent directors and reduce the probability of financial restatement.展开更多
This paper used the A-shares listed companies in China as samples,constructed a comprehensive indicator of investor attention,and conducted an empirical analysis on the correlations among investor attention,analyst op...This paper used the A-shares listed companies in China as samples,constructed a comprehensive indicator of investor attention,and conducted an empirical analysis on the correlations among investor attention,analyst optimism,and stock price crash risk.The results indicated that investor attention aggravates the stock price crash risk and has a positive effect on analyst optimism.Meanwhile,the analyst optimism plays a mediating role in the positive correlation between investor attention and stock price crash risk.In addition to that,institutional investor attention also has direct and indirect effects on the crash risk.展开更多
This paper studies the evolutionary process of cooperative behavior in a public goods game model with heterogeneous investment strategies in square lattices.In the proposed model,players are divided into defectors,coo...This paper studies the evolutionary process of cooperative behavior in a public goods game model with heterogeneous investment strategies in square lattices.In the proposed model,players are divided into defectors,cooperators and discreet investors.Among these,defectors do not participate in investing,discreet investors make heterogeneous investments based on the investment behavior and cooperation value of their neighbors,and cooperators invest equally in each neighbor.In real life,heterogeneous investment is often accompanied by time or economic costs.The discreet investors in this paper pay a certain price to obtain their neighbors'investment behavior and cooperation value,which quantifies the time and economic costs of the heterogeneous investment process.The results of Monte Carlo simulation experiments in this study show that discreet investors can effectively resist the invasion of the defectors,form a stable cooperative group and expand the cooperative advantage in evolution.However,when discreet investors pay too high a price,they lose their strategic advantage.The results in this paper help us understand the role of heterogeneous investment in promoting and maintaining human social cooperation.展开更多
Using a recent stock market liberalization reform policy in China—the Stock Connect—as a quasi-natural experiment,this study examines the effect of stock market liberalization on market efficiency.Employing a datase...Using a recent stock market liberalization reform policy in China—the Stock Connect—as a quasi-natural experiment,this study examines the effect of stock market liberalization on market efficiency.Employing a dataset of 17,086 Chinese listed firms covering 2009 to 2018,we find that stock market liberalization improves the market efficiency of the Chinese mainland stock market.We further explore the potential channels through which the Stock Connect can enhance the efficiency of the A-share(A-shares refer to shares issued by Chinese companies incorporated in China's Mainland,traded in the Shanghai Stock Exchange and the Shenzhen Stock Exchange.They are denominated in Chinese RMB(the local currency).A-shares were restricted to local Chinese investors before 2003,are open to foreign investors via the Qualified Foreign Institutional Investor,RMB Qualified Foreign Institutional Investor,or the Stock Connect programs.)market.The findings show that liberalizing capital markets could benefit local market efficiency by increasing stock price informational efficiency and improving corporate governance quality.The additional analysis shows that stock market liberalization has a significant and positive impact on local market efficiency,enhancing firm value and reducing stock crash risk.We conduct various robustness checks to corroborate our findings.This study provides important policy implications for emerging countries liberalizing capital markets for foreign investors.展开更多
The purpose of this paper is to investigate the relationship between investor protection, ownership structure and corporate valuation. La Porta showed that there existed a simple linear relationship between corporate ...The purpose of this paper is to investigate the relationship between investor protection, ownership structure and corporate valuation. La Porta showed that there existed a simple linear relationship between corporate valuation and the holding percentage of controlling shareholders. But recent empirical evidence does not support it. A nonlinear relationship is proved between ownership structure and corporate valuaton by relaxing the assumption of La Porta＇s model in this paper. There exists a positive relation between investor protection and corporate valuation. Our empirical research shows that this relation is significantly positive indeed.展开更多
Understanding the irrational sentiments of the market participants is necessary for making good investment decisions.Despite the recent academic effort to examine the role of investors’sentiments in market dynamics,t...Understanding the irrational sentiments of the market participants is necessary for making good investment decisions.Despite the recent academic effort to examine the role of investors’sentiments in market dynamics,there is a lack of consensus in delineating the structural aspect of market sentiments.This research is an attempt to address this gap.The study explores the role of irrational investors’sentiments in determining stock market volatility.By employing monthly data on market-related implicit indices,we constructed an irrational sentiment index using principal component analysis.This sentiment index was modelled in the GARCH and Granger causality framework to analyse its contribution to volatility.The results showed that irrational sentiment significantly causes excess market volatility.Moreover,the study indicates that the asymmetrical aspects of an inefficient market contribute to excess volatility and returns.The findings are crucial for retail investors as well as portfolio managers seeking to make an optimum portfolio to maximise profits.展开更多
The 8th Chinese Enterprises Outbound Investment Con-ference was held in Beijing by China Council of the Promo-tion of International Trade(CCPIT)from April 16th to 17th.The CCPIT has been organising the conference for ...The 8th Chinese Enterprises Outbound Investment Con-ference was held in Beijing by China Council of the Promo-tion of International Trade(CCPIT)from April 16th to 17th.The CCPIT has been organising the conference for eight years,to encourage more展开更多
文摘This study investigates the impact of investor protection on corporate R&D investment using panel data from Chinese A-share listed companies spanning 2015 to 2022.By employing OLS regression,mediation,and moderation analyses,the results demonstrate that robust investor protection mechanisms significantly enhance corporate R&D expenditures.The mediation analysis reveals that investor protection alleviates financing constraints and improves information disclosure quality,both of which serve as key channels for fostering R&D investment.Furthermore,internal control systems and media attention are identified as positive moderators,amplifying the beneficial effects of investor protection on R&D.In contrast,the equity Herfindahl index(HHI)does not exhibit a significant moderating role.The study also highlights that financial leverage,profitability,and equity concentration negatively influence R&D,while revenue growth exerts a positive effect.These findings underscore the critical role of investor protection in driving corporate innovation and sustainable growth,offering valuable insights for policymakers and corporate managers aiming to optimize R&D strategies through improved governance frameworks.
文摘The efficient market hypothesis in traditional financial theory struggles to explain the short-term irrational fluctuations in the A-share market,where investor sentiment fluctuations often serve as the core driver of abnormal stock price movements.Traditional sentiment measurement methods suffer from limitations such as lag,high misjudgment rates,and the inability to distinguish confounding factors.To more accurately explore the dynamic correlation between investor sentiment and stock price fluctuations,this paper proposes a sentiment analysis framework based on large language models(LLMs).By constructing continuous sentiment scoring factors and integrating them with a long short-term memory(LSTM)deep learning model,we analyze the correlation between investor sentiment and stock price fluctuations.Empirical results indicate that sentiment factors based on large language models can generate an annualized excess return of 9.3%in the CSI 500 index domain.The LSTM stock price prediction model incorporating sentiment features achieves a mean absolute percentage error(MAPE)as low as 2.72%,significantly outperforming traditional models.Through this analysis,we aim to provide quantitative references for optimizing investment decisions and preventing market risks.
基金National Natural Science Foundation of China(Grant No.71771006)Science and Technology Support Plan of Guizhou(Grant No.2023–221).
文摘We construct a model to examine the time-varying ambiguity of investors.When ambiguity occurs concerning recent news,long(short)position investors who are averse to ambiguity reduce(increase)their holdings,resulting in price drops(rises).We empirically analyze how the“two sessions,”a significant event with high policy ambiguity in China,affect the financial market.Our findings suggest that institutional investors mainly sell their holdings between 15 and 5 days before the meetings.Furthermore,the delay in the“two sessions”in 2020 suggests that these selloffs are driven by ambiguity aversion rather than new information.
基金financially supported by:National Natural Science Foundation of China(72261002,72141304)Youth Foundation for Humanities and Social Sciences Research of the Ministry of Education(22YJC790190)+1 种基金National Key Research and Development Program of China(2022YFC3303304)Student Research Program of Guizhou University of Finance and Economics(2022ZXS).
文摘This study examines a comprehensive set of 30 cross-sectional anomalies in the Chinese A-share market to investigate whether incorporating investor sentiment as conditioning information enhances the explanatory power of asset pricing models.Utilizing a long–short portfolio strategy and Fama–MacBeth cross-sectional regression,we find that trading-based anomalies outnumber accounting-based anomalies in the Chinese market.Our results demonstrate that conditional models significantly outperform their unconditional counterparts.Notably,investor sentiment is crucial for capturing the size anomaly when excluding observations from the COVID-19 pandemic period.Additionally,it substantially improves the ability of conditional Fama–French three-factor models to capture individual anomalies and enhances the return–prediction accuracy of conditional CAPMs.We suggest further investigating high-frequency investor sentiment-based conditional models to anticipate stock price fluctuations during extraordinary public health events.
文摘With the rapid development of Internet media,Internet media coverage has more or less influence on investors'psychological level.This article uses Python technology to climb 2019.9 to 2020.1 of the monthly news reports on A share listed companies in the Snowball net,and studies the relationship between media attention and investors'heterogeneous beliefs.It is found that media attention is positively correlated with investors'heterogeneous beliefs,that is,investors are more likely to choose stocks frequently reported by media.Further research finds that media reports will strengthen investors'heterogeneous beliefs,affect investors'investment behavior,and ultimately lead to the increase of stock trading volume.
文摘This paper has two aims. The first one is to investigate the existence of chaotic structures in the oil prices, expectations of investors and stock returns by combining the Lyapunov exponent and Kolmogorov entropy, and the second one is to analyze the dependence behavior of oil prices, expectations of investors and stock returns from January 02, 1990, to June06, 2017. Lyapunov exponents and Kolmogorov entropy determined that the oil price and the stock return series exhibited chaotic behavior. TAR-TR-GARCH and TAR-TR-TGARCH copula methods were applied to study the co-movement among the selected variables. The results showed significant evidence of nonlinear tail dependence between the volatility of the oil prices, the expectations of investors and the stock returns. Further, upper and lower tail dependence and comovement between the analyzed series could not be rejected. Moreover, the TAR-TR-GARCH and TAR-TR-TGARCH copula methods revealed that the volatility of oil price had crucial effects on the stock returns and on the expectations of investors in the long run.
文摘This study examines the relationship between positive and negative investor sentiments and stock market returns and volatility in Group of 20 countries using variousmethods, including panel regression with fixed effects, panel quantile regressions, apanel vector autoregression (PVAR) model, and country-specific regressions. We proxyfor negative and positive investor sentiments using the Google Search Volume Indexfor terms related to the coronavirus disease (COVID-19) and COVID-19 vaccine, respectively. Using weekly data from March 2020 to May 2021, we document significantrelationships between positive and negative investor sentiments and stock marketreturns and volatility. Specifically, an increase in positive investor sentiment leads toan increase in stock returns while negative investor sentiment decreases stock returnsat lower quantiles. The effect of investor sentiment on volatility is consistent acrossthe distribution: negative sentiment increases volatility, whereas positive sentimentreduces volatility. These results are robust as they are corroborated by Granger causalitytests and a PVAR model. The findings may have portfolio implications as they indicatethat proxies for positive and negative investor sentiments seem to be good predictorsof stock returns and volatility during the pandemic.
文摘This paper explores the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing a unique data set that consists of the buying and selling positions of open-end fund investors in China. Results show that investors' buying and selling behaviors are significantly affected by fund performance. The reasons that lie behind such results are mainly related to the non-persistence of fund performance. When fund performance is non-persistent, investors are not clear about the future returns on funds. So, investors, especially individual investors, would have to realize the profits on hand immediately. Meanwhile, fund investors are highly sensitive to fund age and loading fees, but not sensitive to management fees charged by funds when they buy or sell fund shares.
文摘This paper examines systematic differences in earnings management through real activity manipulation and accrual manipulation across 7 Asia countries. The study proposes arguments that in economies with high investor protection, managers prefer to manage earnings through real activity manipulation rather than through accrual manipulation because accrual manipulation is more likely to draw auditors or regulators scrutiny than real decisions about pricing and production. The study findings are consistent with prediction. Despite being in economies with high investor protection, managers still have bigger discretion in managing earnings through real activities rather than accrual manipulation.
文摘The objective of this study is to examine the effect of accounting standards and investor protection on value relevance of earnings and book value of equity among European Union countries during the years 1999-2007. The results indicate that the adoption of International Financial Reporting Standards [IFRS] leads to improvement in value relevance, particularly on earnings. We also examine the impact of investor protection and the deviation of local accounting standards from IFRS on the effectiveness of the IFRS adoption. The results show supporting evidence for investor protection but inconclusive evidence for accounting standard deviation. However, additional analysis indicates that the countries which apparently benefit from adopting IFRS are those with high deviation of local accounting standards from IFRS and high investor protection. The findings imply that adopting IFRS alone cannot improve value relevance of accounting information, but standard setters and regulators need to strengthen their investor protection mechanisms in order to improve the quality of accounting information.
文摘Our research on private placement of equity on China capital market reveals that firms prefer to equity financing when their stock price is overvalued and investor sentiment is high,following the market timing hypothesis.However,after private issuance,we document a significant positive abnormal return within three years.We believe firms choose to polish their financial statement before the exit of institutional investors and controlling shareholders.Through manipulation of discretional accruals,firms improve the profitability and market valuation,and help institutional investors and controlling shareholders obtain the abnormal return after private placement of equity.Nevertheless,such manipulation cannot be sustained and will do harm to other investors in the long-term.
基金The Key Project of the National Natural Science Foundation of China (No.70532001)Project of Humanities and Social Sciences Research Base of Ministry of Education (No.06JJD630008)
文摘In order to examine the effects of avoiding reputation damage by investor relations management under certain corporate governance structures and mechanisms, samples of 1120 listed companies are used to research the influence on financial restatements by corporate governance. Then the moderating effects of investor relations management on financial restatements are analyzed. The result is that the more dispersed the equity, the higher the probability of financial restatements will be (This includes the government-controlled companies). Also the higher the proportion of independent directors and the higher the level of investor relations management, the lower the probability of financial restatements will be. Furthermore, as a moderating variable, investor relations management can eliminate the negative effects of corporate governance, enhance the effect of independent directors and reduce the probability of financial restatement.
文摘This paper used the A-shares listed companies in China as samples,constructed a comprehensive indicator of investor attention,and conducted an empirical analysis on the correlations among investor attention,analyst optimism,and stock price crash risk.The results indicated that investor attention aggravates the stock price crash risk and has a positive effect on analyst optimism.Meanwhile,the analyst optimism plays a mediating role in the positive correlation between investor attention and stock price crash risk.In addition to that,institutional investor attention also has direct and indirect effects on the crash risk.
基金Project supported by the Open Foundation of Key Laboratory of Software Engineering of Yunnan Province(Grant Nos.2020SE308 and 2020SE309).
文摘This paper studies the evolutionary process of cooperative behavior in a public goods game model with heterogeneous investment strategies in square lattices.In the proposed model,players are divided into defectors,cooperators and discreet investors.Among these,defectors do not participate in investing,discreet investors make heterogeneous investments based on the investment behavior and cooperation value of their neighbors,and cooperators invest equally in each neighbor.In real life,heterogeneous investment is often accompanied by time or economic costs.The discreet investors in this paper pay a certain price to obtain their neighbors'investment behavior and cooperation value,which quantifies the time and economic costs of the heterogeneous investment process.The results of Monte Carlo simulation experiments in this study show that discreet investors can effectively resist the invasion of the defectors,form a stable cooperative group and expand the cooperative advantage in evolution.However,when discreet investors pay too high a price,they lose their strategic advantage.The results in this paper help us understand the role of heterogeneous investment in promoting and maintaining human social cooperation.
基金funded by the China Scholarship Council(CSC Grant No.202108360133)the Social Science Foundation of Jiangxi Province(No.22GL13&22GL43)the Science and Technology Research Project of Jiangxi Province Education Department(No.GJJ210537).
文摘Using a recent stock market liberalization reform policy in China—the Stock Connect—as a quasi-natural experiment,this study examines the effect of stock market liberalization on market efficiency.Employing a dataset of 17,086 Chinese listed firms covering 2009 to 2018,we find that stock market liberalization improves the market efficiency of the Chinese mainland stock market.We further explore the potential channels through which the Stock Connect can enhance the efficiency of the A-share(A-shares refer to shares issued by Chinese companies incorporated in China's Mainland,traded in the Shanghai Stock Exchange and the Shenzhen Stock Exchange.They are denominated in Chinese RMB(the local currency).A-shares were restricted to local Chinese investors before 2003,are open to foreign investors via the Qualified Foreign Institutional Investor,RMB Qualified Foreign Institutional Investor,or the Stock Connect programs.)market.The findings show that liberalizing capital markets could benefit local market efficiency by increasing stock price informational efficiency and improving corporate governance quality.The additional analysis shows that stock market liberalization has a significant and positive impact on local market efficiency,enhancing firm value and reducing stock crash risk.We conduct various robustness checks to corroborate our findings.This study provides important policy implications for emerging countries liberalizing capital markets for foreign investors.
文摘The purpose of this paper is to investigate the relationship between investor protection, ownership structure and corporate valuation. La Porta showed that there existed a simple linear relationship between corporate valuation and the holding percentage of controlling shareholders. But recent empirical evidence does not support it. A nonlinear relationship is proved between ownership structure and corporate valuaton by relaxing the assumption of La Porta＇s model in this paper. There exists a positive relation between investor protection and corporate valuation. Our empirical research shows that this relation is significantly positive indeed.
文摘Understanding the irrational sentiments of the market participants is necessary for making good investment decisions.Despite the recent academic effort to examine the role of investors’sentiments in market dynamics,there is a lack of consensus in delineating the structural aspect of market sentiments.This research is an attempt to address this gap.The study explores the role of irrational investors’sentiments in determining stock market volatility.By employing monthly data on market-related implicit indices,we constructed an irrational sentiment index using principal component analysis.This sentiment index was modelled in the GARCH and Granger causality framework to analyse its contribution to volatility.The results showed that irrational sentiment significantly causes excess market volatility.Moreover,the study indicates that the asymmetrical aspects of an inefficient market contribute to excess volatility and returns.The findings are crucial for retail investors as well as portfolio managers seeking to make an optimum portfolio to maximise profits.
文摘The 8th Chinese Enterprises Outbound Investment Con-ference was held in Beijing by China Council of the Promo-tion of International Trade(CCPIT)from April 16th to 17th.The CCPIT has been organising the conference for eight years,to encourage more
